The last year annualized Sharpe ratio of the low vol strategy was 1.68 (after proportional transaction costs of 40 bps was discounted). On the other hand, the SR of the S&P 500 was 1.15 over the same period.

Finally, the correlation of the low vol strategy with the S&P 500 along the last 52 weeks was 84%.

Again, all these performance results are consistent over time.

This time, I am going to show you the excess return of the low vol portfolio (after transaction costs) respect to the S&P 500. The evolution is from 2006 up to now.

It can be observed that around 62% of the time, the low vol portfolio return is higher than that of the S&P 500. In contrast, the volatility of the low vol portfolio is always less than that of the S&P 500.

These results can be attained because the low vol portfolio does not present a large correlation with the market index. In the next graph, we show the evolution of the annualized tracking error (respect to the S&P 500) from 2006 up to now.

It can be observed that the mean tracking error is around 12%, relatively high. This allows for better expected returns.

As a summary, the low vol portfolio dominates the market index around 60% of the time in the risk-return space, showing they attain consistently better risk-adjusted returns.